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Informe Option Levels

Abr 18, 2023 | Informe Option Levels | 0 Comentarios

Macro Theme:

Major Resistance: $4,200
Pivot Level: $4,150
Critical Support: $4,000
Range High: $4,200 Call Wall
Range Low: $3,800 Put Wall

‣ $4,200 is likely heavy resistance into April 21st OPEX
‣ High market volatility is unlikely with SPX >$4,000 due to positive gamma positioning.
‣ 1 Month IV is at lows near 16%, which is likely a long term low which reduces equity vanna tailwinds. It further implies that longer dated IV may be reasonably priced.

Founder’s Note:

Futures up up to 4190, indicating an market open near SPY 415 (SPX 4160). We see SPY 415/ SPX 4160 as first resistance, followed by 4176, then 4200 (Call Wall). Support shows at 4150, 4140 (SPY 413). with major support at the 4110 (SPY 410) – 4100 range. We continue to anticipate tight trading ranges, with price mean reverting at large gamma levels. With these smaller realized moves, implied volatility continues to contract and we see little reason for change in this behavior until Friday’s OPEX.

Overall our views here are unchanged from previous notes: markets are being supported by large positive gamma which constricts volatility and allows for positive equity drift. After 4/21 OPEX we look for a volatility to shift a bit higher into 5/3 FOMC.

We still mark 420SPY/4200SPX as our Call Wall/maximum resistance into 4/21 expiration. You can see how prominent this strike is in the plot below. There has not been a build in gamma at strikes >420/4200 which would be needed to drive the Call Wall (and major resistance) higher. This reinforces the idea that 4200 is our OPEX high.

The question for bullish traders here is: “Are things different this time”? Shown below is the SPX (white) vs our Delta Tilt metric (blue). Tilt measures the call delta relative to put delta, with higher readings informing us that there are larger relative in-the-money call positions. The general idea is that into expiration we will lose a fair amount of these ITM calls, which has been associated with lower markets. As you can see both the Tilt & SPX are just under 1 year highs, and a test of 4200 would match 1 year highs. You may note that prior to ’22 the Tilt readings were much higher as traders held much larger relative call exposure.

Therefore the prevailing question circles back to this idea that traders demand for call exposure at this inflection point will have to change to spur higher equity prices. This likely requires a catalyst, which could be provided by 5/3 FOMC.

While we grind through the next several days, we remind traders to continue to watch the 0DTE flows. With the decline of implied volatility/vega, the percentage of 0DTE flows has increased. Further, we continue to see major 0DTE action sparking in the 2-2:30 ET time frame as discussed in last nights note. As we pointed out in our 0DTE presentation, Morgan Stanley highlighted 2:30 ET as “peak 0DTE gamma”, and the point at which 0DTE gamma is unwound. This seems to sync with the flow we’ve monitored over the last several sessions, and is highlighted by the red line, below. You can see that after 2PM the 0DTE positive delta flow (teal) picked up sharply, driving SPX to the large 4150 gamma strike.

 

SpotGamma Proprietary Levels

SPX

SPY

NDX

QQQ

RUT

IWM

Reference Price:

$4151

$413

$13087

$318

$1802

$178

SG Implied 1-Day Move

0.94%

0.94%

SG Implied 5-Day Move

2.71%

SpotGamma Volatility Trigger™:

$4110

$413

$11975

$318

$1800

$180

Absolute Gamma Strike:

$4150

$415

$12525

$320

$1800

$180

SpotGamma Call Wall:

$4200

$415

$12525

$320

$1735

$182

SpotGamma Put Wall:

$3800

$400

$11000

$300

$1750

$170

 

 

Additional Key Levels

SPX

SPY

NDX

QQQ

RUT

IWM

Zero Gamma Level

$4096

$413

$11927

$316

$1910

$185

Gamma Tilt

1.5

1

1.7

1.1

0.67

0.6

SG Implied 1-Day Move

1.6

0.025

0.048

0.024

-0.022

-0.072

Gamma Notional (MM):

$4.5B

$8B

$30M

$3.6B

$123M

$3.2B

25D Risk Reversal

-4.35%

-4.10%

-4.39%

-4.62%

-4.96%

-3.91%

Call Volume:

483K

1.6M

12K

580K

17K

235K

Put Volume:

948K

2.1M

11K

790K

24K

515K

Call Open Interest

6.1M

6.9M

56K

4.7M

180K

3.3M

Put Open Interest

12M

14M

67K

8.4M

342K

7.4M

 

 

Key Support & Resistance Strikes

SPX Levels [4200, 4150, 4100, 4000]

SPY Levels [415, 413, 412, 410]

NDX Levels [14000, 13200, 13000, 12525]

QQQ Levels [320, 315, 310, 300]

SPX Combos: [(4351,91.57), (4326,82.14), (4322,88.63), (4301,98.00), (4276,91.15), (4263,81.94), (4251,97.10), (4230,80.12), (4226,90.87), (4222,81.62), (4214,90.12), (4209,88.51), (4201,99.70), (4197,80.40), (4189,90.38), (4185,85.17), (4180,94.09), (4176,98.58), (4172,78.48), (4168,91.68), (4164,95.87), (4160,92.87), (4155,78.90), (4151,98.71), (4143,75.21), (4139,75.33), (4126,76.38), (4110,75.71), (4060,77.88), (4052,82.03), (4010,84.49), (4002,89.80), (3952,86.31)]

SPY Combos: [420.17, 415.2, 417.69, 430.1]

NDX Combos: [13140, 12525, 13336, 13546]

QQQ Combos: [320.06, 305.39, 325.16, 330.26]